S&P back of the envelope, from Duncan Coker
Some back of the envelope numbers on S&P500 futures daily changes last 10years for your perusal:
Year %up Max Min SDev
2003 55% 28 -29 10
2004 57% 18 -21 8
2005 54% 21 -21 8
2006 53% 26 -25 8
2007 52% 44 -57 14
2008 50% 127 -100 27
2009 56% 54 -42 14
2010 58% 48 -41 12
2011 51% 59 -85 18
2012 51% 42 -35 12
2013 65% 25 -38 11
Alex Castaldo ponders:
The standard deviation for a binomial is the famous sqrt(N p q) and the standard deviation for a proportion is sqrt(p q / N). Assume p=0.54 q=0.46 and N=252 days per year. Then sd= 3.1%. The proportions for 2003 through 2012 are within usual confidence intervals.
But for the year 2013 we have only N=95 trading days so far. In that case sd= 5.1%. So the observed 65% is about 2.16 standard deviations above the expected. Yes, it is statistically significant but not hugely so.
Comments
Hugo on September 20, 2014 10:59 pm
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